Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0270 |
| Annualized Std Dev | 0.2234 |
| Annualized Sharpe (Rf=0%) | 0.1210 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3339.0000 |
| NAs | 1.0000 |
| Minimum | -0.1143 |
| Quartile 1 | -0.0054 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1400 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.5098 |
| Kurtosis | 10.9436 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0104 |
| Downside Deviation (0%) | 0.0104 |
| Maximum Drawdown | 0.6265 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0359 |
| Modified VaR (95%) | -0.0218 |
| Modified ES (95%) | -0.0433 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-14 | 2009-03-09 | 2014-01-10 | -0.6265 | 1529 | 309 | 1220 |
| 2018-01-29 | 2020-03-23 | 2021-01-05 | -0.4459 | 740 | 541 | 199 |
| 2015-05-18 | 2016-02-11 | 2017-03-17 | -0.1906 | 463 | 187 | 276 |
| 2014-07-07 | 2014-10-16 | 2015-05-15 | -0.1612 | 218 | 73 | 145 |
| 2014-01-16 | 2014-02-03 | 2014-02-18 | -0.0618 | 22 | 12 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 | 1.9 |
| 2008 | 0 | -2.1 | 1.9 | 0.8 | 0.5 | -2.6 | -1.2 | 0.5 | -1.3 | 1.9 | -5.7 | 1.6 | -5.9 |
| 2009 | -0.7 | 0.8 | 2.9 | 1.8 | 1.8 | 1.1 | 2.2 | -2.3 | -2.8 | -1.7 | 2.8 | 0 | 5.9 |
| 2010 | 1.2 | 0.6 | 2 | -0.9 | -1 | 1.3 | -0.3 | 3.5 | 1.1 | -0.1 | 2.6 | 0.8 | 11.3 |
| 2011 | 2.9 | -0.8 | 0.2 | 0.2 | -1.9 | 1 | -0.7 | -1.7 | -2.3 | -3.3 | -2.1 | 0.1 | -8.3 |
| 2012 | 1.7 | 0.7 | 1 | -0.1 | -3.5 | 3.3 | 0.1 | 1.2 | 0.3 | 0.9 | 0.1 | 1.3 | 7.1 |
| 2013 | 1.3 | 0.2 | -2 | -0.4 | -1.5 | 1.1 | 1.2 | -1.1 | 0.7 | -0.7 | 0.3 | 0.1 | -0.9 |
| 2014 | -1.5 | 0.9 | 0.9 | 0.3 | 0.1 | 0.9 | -0.7 | -0.1 | -1.3 | 1.9 | 0 | -0.3 | 1.1 |
| 2015 | -0.8 | 0.1 | 0.4 | 0.5 | 0.1 | 0.8 | 0.6 | -2.9 | 0 | 0.2 | 1.1 | -1.1 | -1.2 |
| 2016 | 0.3 | 2.5 | -0.7 | 0 | 0 | 0.5 | -0.8 | 1.1 | 0.6 | -0.1 | -0.4 | 0.4 | 3.4 |
| 2017 | 0.7 | 0.8 | -0.1 | 0.4 | 1 | 0.5 | 0.3 | 0.2 | 0.8 | 0.3 | -0.3 | 0.1 | 4.8 |
| 2018 | 0.5 | -1.5 | 1 | -0.2 | 0.7 | 0.7 | -0.3 | -0.2 | 0.3 | 2 | -0.2 | 0.5 | 3.5 |
| 2019 | -0.2 | 0.9 | 1.4 | -0.5 | -0.8 | 0.7 | -0.5 | 0.6 | -0.7 | 1.1 | -0.7 | 0.5 | 1.9 |
| 2020 | -1.3 | -0.7 | -4.4 | -2.1 | 2.2 | 0.5 | -2 | 0.2 | 1 | -0.2 | 2.6 | -0.6 | -4.8 |
| 2021 | 1.2 | 2 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-12 51.2 SPY 149. 0.0099 0.0038 3.95e-2 0.0031 0.0532 0.252 0.647 GLD 80.5 2.09e-2 0.0237
2 2007-12-13 51.2 SPY 149. -0.0021 -0.0125 6.60e-3 0.0011 0.0518 0.238 0.642 GLD 78.5 -2.47e-2 -0.011
3 2007-12-14 50.9 SPY 147. -0.0127 -0.0248 -3.40e-3 -0.0063 0.0374 0.218 0.621 GLD 78.5 3.00e-4 -0.001
4 2007-12-17 48.7 SPY 145. -0.0143 -0.0461 -3.20e-3 -0.0485 0.0136 0.200 0.624 GLD 78.1 -5.00e-3 -0.0234
5 2007-12-18 48.5 SPY 146. 0.0056 -0.0137 6.00e-4 -0.0488 0.0249 0.208 0.592 GLD 79.2 1.43e-2 0.0052
6 2007-12-19 48.8 SPY 146. 0 -0.0234 1.47e-2 -0.042 0.0277 0.221 0.606 GLD 79.2 -1.00e-4 -0.0155
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
